Wednesday, November 30, 2011

S&P 3% Days

Another day, another >3% change for the S&P 500.  If it seems like volatility continues to be extreme, the chart below should be a supporting image.  The chart shows the number of days each year that the S&P 500 has had a more than 2% or 3% move (in either direction) since 1957.  Clearly volatility has increased over time.

Click to Enlarge
By decade: in the 2000's, there were 114 days that the S&P moved by more than 3%.  In the 1980s there were 24 and in the 60s there were just 6.  In fact, before the year 2000, there was not a single year that had more than 10 days that the S&P moved by 3%.  This year we've already had 12 such days.

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